thirty360.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- *//* Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/reference/license.html>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.*//*! \file thirty360.hpp \brief 30/360 day counters*/#ifndef quantlib_thirty360_day_counter_h#define quantlib_thirty360_day_counter_h#include <ql/daycounter.hpp>namespace QuantLib {
//! 30/360 day count convention /*! The 30/360 day count can be calculated according to US, European, or Italian conventions. US (NASD) convention: if the starting date is the 31st of a month, it becomes equal to the 30th of the same month. If the ending date is the 31st of a month and the starting date is earlier than the 30th of a month, the ending date becomes equal to the 1st of the next month, otherwise the ending date becomes equal to the 30th of the same month. Also known as "30/360", "360/360", or "Bond Basis" European convention: starting dates or ending dates that occur on the 31st of a month become equal to the 30th of the same month. Also known as "30E/360", or "Eurobond Basis" Italian convention: starting dates or ending dates that occur on February and are grater than 27 become equal to 30 for computational sake. \ingroup daycounters */00054class Thirty360 : publicDayCounter {
public:
enum Convention { USA, BondBasis,
European, EurobondBasis,
Italian };
private:
class US_Impl : publicDayCounter::Impl {
public:
std::string name() const { return std::string("30/360 (Bond Basis)");}
BigInteger dayCount(constDate& d1, constDate& d2) const;
Time yearFraction(constDate& d1, constDate& d2,
constDate&, constDate&) const {
returndayCount(d1,d2)/360.0; }
};
class EU_Impl : publicDayCounter::Impl {
public:
std::string name() const { return std::string("30E/360 (Eurobond Basis)");}
BigInteger dayCount(constDate& d1, constDate& d2) const;
Time yearFraction(constDate& d1, constDate& d2,
constDate&, constDate&) const {
returndayCount(d1,d2)/360.0; }
};
class IT_Impl : publicDayCounter::Impl {
public:
std::string name() const { return std::string("30/360 (Italian)");}
BigInteger dayCount(constDate& d1, constDate& d2) const;
Time yearFraction(constDate& d1, constDate& d2,
constDate&, constDate&) const {
returndayCount(d1,d2)/360.0; }
};
static boost::shared_ptr<DayCounter::Impl> implementation(
Convention c);
public:
Thirty360(Convention c = Thirty360::BondBasis)
: DayCounter(implementation(c)) {}
};
}
#endif